Glossary
Order book
An order book is the live, ranked list of every open buy order (bids) and sell order (asks) at each price on an exchange. It shows not just the best available prices but the depth behind them: how many contracts sit waiting at each level, revealing where real interest is.
On an exchange there is no single quoted line handed down by a house. Instead, every trader posts what they are willing to do, and the order book collects all of it in one place. It stacks buyers on one side and sellers on the other, sorted by price, so you can see the whole shape of supply and demand at a glance.
Read it from the middle out. The best bid and best ask sit closest together at the top; below and above them, the book widens into orders resting at less attractive prices. The quantity waiting at each level is the depth. A book with thousands of contracts stacked near the top can absorb a big order with little price movement. A book that thins out fast a few cents away is fragile, and a single sizable trade can walk the price several levels.
Why depth matters more than the top price
The headline price only describes the very next contract to trade. If you want size, what matters is how much is stacked behind it. Two markets can show the same best price while one has deep support and the other has almost none. That difference is exactly what liquidity captures, and it is why experienced traders read the whole book, not just the top line, before sending an order.